Th e paper examines the infl uence of impact indicators on stock market returns. Th e authors analyse various theoretical and empirical studies in order to form a set of impact criteria for stock market selection. Th e diff erent examinations aimed to identify the co-integrating relationship between stock market return and such impact indicators as money supply, exchange rate, short and long-term interest rates and others. It is oft en observed that stock prices tend to fl uctuate with economic

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... indicators that have positive and negative eff ects on stock market returns. A detailed analysis of the selected topic has shown that there is no unifi ed or general method for the selection of the mentioned criteria; therefore, the authors propose a set of criteria that should be used for stock market selection in order to generate sustainable market return in the long term.